An Alternative Testable Form of the Consumption CAPM.
A model of asset prices is developed that is in principle testable even when agg regate consumption of goods and their market prices are only partiall y observable. The author shows that if there are m consumption goods, expected returns on securities can be expressed in terms of covarian ces of their returns with market prices of k consumption goods (k bei ng less than m) and aggregate consumption of the remaining goods. Thi s model provides researchers with some flexibility in choosing the se t of variables that measure riskiness of securities, which should lea d to more powerful tests of consumption CAPM. Copyright 1988 by American Finance Association.
Year of publication: |
1988
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Authors: | Kazemi, Hossein B |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 43.1988, 1, p. 61-70
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Publisher: |
American Finance Association - AFA |
Saved in:
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